Front Office Quantitative Analyst
1 Merchant Place, 1 Fredman Drive, Sandton, Johannesburg, 2196, South Africa
ZAR 400K-460K (estimate) Mid-level Full Time
Tasks
- Apply pragmatic theory vs practice decisions
- Build pricing models
- Build risk management models
- Conduct mathematical modeling for derivatives
- Ensure regulatory compliance for derivatives and SFTs
- Ensure stable understood risk
- Liaise with traders for requirements
- Model counterparty risk on trading book
- Model vanilla XVA and exotic trades
- Perform pretrade pricing support
- Provide model functionality to traders and structurers
- Support trade approved by deal committee
- Use pricing libraries and systems
Perks/Benefits
Skills/Tech-stack
C# | Compatibility | Counterparty risk | Derivatives | FRTB | Investment banking | Mathematical Modeling | Murex | Pretrade Pricing | Pricing libraries | Pricing models | Python | Risk Management | SIMM | XVA
Education
Roles
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